Are you going to the party: depends, who else is coming? [Learning hidden group dynamics via conditional latent tree models]

TL;DR

This paper introduces Conditional Latent Tree Models (CLTM) for scalable, interpretable modeling of high-dimensional multivariate time-series with hidden group structures, demonstrated on diverse real-world datasets.

Contribution

The paper presents a novel framework for learning hierarchical latent group structures in multivariate time-series using CLTM, conditioned on observed covariates, with efficient learning algorithms.

Findings

Competitive performance on real-world datasets

Effective discovery of hidden group hierarchies

Interpretable insights into group influence on dynamics

Abstract

Scalable probabilistic modeling and prediction in high dimensional multivariate time-series is a challenging problem, particularly for systems with hidden sources of dependence and/or homogeneity. Examples of such problems include dynamic social networks with co-evolving nodes and edges and dynamic student learning in online courses. Here, we address these problems through the discovery of hierarchical latent groups. We introduce a family of Conditional Latent Tree Models (CLTM), in which tree-structured latent variables incorporate the unknown groups. The latent tree itself is conditioned on observed covariates such as seasonality, historical activity, and node attributes. We propose a statistically efficient framework for learning both the hierarchical tree structure and the parameters of the CLTM. We demonstrate competitive performance in multiple real world datasets from different domains. These include a dataset on students' attempts at answering questions in a psychology MOOC, Twitter users participating in an emergency management discussion and interacting with one another, and windsurfers interacting on a beach in Southern California. In addition, our modeling framework provides valuable and interpretable information about the hidden group structures and their effect on the evolution of the time series.